Re: [Quantlib-dev] QuantLib Forum

[Eric E. <eri...@na...>]

>>> In fact thinking now about this, I see there could be a nice shortcut in
>>> enabling this: write the Excel interface in Python. This would allow the
>>> work to concentrate on the C++ -> Python SWIG wrapper, and Python
>>> modules could then quite easily re-wrap this functionality for
>>> Excel. This would also have the added advantage that a lot of
>>> higher-level functionality could be in Python but still easily
>>> accessible from Excel.  What do people think about this?
>>
>> I think the Excel-Python interface looks interesting and could have
>> useful applications but it would not be my choice for the QuantLibXL
>> architecture.  Excel's C API, while obscure, is mature and robust and
>> remains the fastest way to access Excel's internals.
>
> I was thinking of actually using Python packaged into a DLL and
> accessing directly Excel's C API. So you get the benefits of using
> Python (and SWIG-ed QuantLib in this case) combined with the
> traditional Excel C interface.
>
> Perhaps surprisingly, this works really quite well and enables direct
> interaction with Python quite easily. We've used it in a project and it
> worked very well. There is a little spin-off example at
> http://www.bnikolic.co.uk/expy/. There is also another project with code
> available at http://code.google.com/p/pyinex/downloads/list.

I'll have a look at the examples as soon as I can.  For now let me  
request a quick clarification:  Under this proposed new design, would  
it be possible to invoke existing QLXL functionality on a machine  
where Python is not installed in any shape or form?

I would hesitate to move to any design where the answer to that  
question is no.  At present the crux of our architecture is:

     QL -> XL API -> EXCEL

Adding any other component into that mix would be guaranteed not to  
speed things up and I would certainly have reservations about having  
the Python interpreter on our critical path when calculating a price.

As I said before, I agree that an Excel-Python interface could have  
interesting applications.  And other people have already put similar  
ideas to me.  I'm entirely open to the possibility of having Python  
functionality available as an auxiliary to the core build, and I would  
be very interested in having something like that included in the  
prototype of the new design.

Kind Regards,
Eric